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st: RE: Newey west

From   "Schaffer, Mark E" <>
To   <>
Subject   st: RE: Newey west
Date   Wed, 10 Dec 2008 14:54:19 -0000


> -----Original Message-----
> From: 
> [] On Behalf Of Alice
> Sent: Wednesday, December 10, 2008 1:18 PM
> To:
> Subject: st: Newey west
> Hi,
> I am trying to use the command -newey- using panel data and I 
> include fixed effects. However this does not work (Stata 
> tells me that my year variable is not regularly spaced).
> Any suggestions? What does the error message mean? My sample 
> is however balanced over time so I have the same number of 
> observations in each year.

It sounds like you have some gaps in your time series.  I think -newey-
doesn't like gaps.

-xtivreg2- supports Newey-West SEs (also known as the Bartlett kernel)
with straight fixed effects panel data estimation and no endogenous
regressors, i.e., your case.  It's available from ssc-archives in the
usual way, i.e.,

ssc install xtivreg2

You'll also need to install -ivreg2- and -ranktest- in the same way.
-ivreg2- supports the same estimation without fixed effects (-xtivreg2-
is basically a wrapper for -ivreg2-).

Hope this helps.

Mark (author/coauthor of xtivreg2, ivreg2, ranktest)

Prof. Mark E. Schaffer
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University
Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3296 fax

> Thanks, Alice.
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